一个由多状态转换股票交易模型引起的自由边界问题
A free boundary problem arising from a multi-state regime-switching stock trading model
摘要：
本文研究了一个自由边界问题，它源于一个由不确定市场状态过程驱动的股票最优交易问题。自由边界问题是一个带有退化算子的三个函数的变分不等式组。本文的主要贡献是证明了这四个切换自由边界是不重叠的、单调的和$C^{\infty}$ -光滑的，并且完全确定了它们的相对位置，为股票交易问题提供了最优的交易策略。
英文摘要：
In this paper, we study a free boundary problem, which arises from an optimal trading problem of a stock that is driven by a uncertain market status process. The free boundary problem is a variational inequality system of three functions with a degenerate operator. The main contribution of this paper is that we not only prove all the four switching free boundaries are no-overlapping, monotonic and $C^{\infty}$-smooth, but also completely determine their relative localities and provide the optimal trading strategies for the stock trading problem.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
